PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
POMIX vs. PREFX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between POMIX and PREFX is 0.94, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.9

Performance

POMIX vs. PREFX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in T. Rowe Price Total Equity Market Index Fund (POMIX) and T. Rowe Price Tax-Efficient Equity Fund (PREFX). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
8.74%
12.21%
POMIX
PREFX

Key characteristics

Sharpe Ratio

POMIX:

1.85

PREFX:

2.03

Sortino Ratio

POMIX:

2.48

PREFX:

2.66

Omega Ratio

POMIX:

1.34

PREFX:

1.37

Calmar Ratio

POMIX:

2.78

PREFX:

2.56

Martin Ratio

POMIX:

11.40

PREFX:

11.66

Ulcer Index

POMIX:

2.09%

PREFX:

2.97%

Daily Std Dev

POMIX:

12.95%

PREFX:

17.15%

Max Drawdown

POMIX:

-55.54%

PREFX:

-56.70%

Current Drawdown

POMIX:

-4.14%

PREFX:

-2.36%

Returns By Period

In the year-to-date period, POMIX achieves a 23.23% return, which is significantly lower than PREFX's 34.49% return. Over the past 10 years, POMIX has underperformed PREFX with an annualized return of 12.11%, while PREFX has yielded a comparatively higher 13.70% annualized return.


POMIX

YTD

23.23%

1M

-2.24%

6M

8.74%

1Y

23.59%

5Y*

13.54%

10Y*

12.11%

PREFX

YTD

34.49%

1M

1.80%

6M

12.21%

1Y

34.68%

5Y*

14.94%

10Y*

13.70%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


POMIX vs. PREFX - Expense Ratio Comparison

POMIX has a 0.20% expense ratio, which is lower than PREFX's 0.76% expense ratio.


PREFX
T. Rowe Price Tax-Efficient Equity Fund
Expense ratio chart for PREFX: current value at 0.76% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.76%
Expense ratio chart for POMIX: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Risk-Adjusted Performance

POMIX vs. PREFX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price Total Equity Market Index Fund (POMIX) and T. Rowe Price Tax-Efficient Equity Fund (PREFX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratio
The chart of Sharpe ratio for POMIX, currently valued at 1.85, compared to the broader market-1.000.001.002.003.004.001.852.03
The chart of Sortino ratio for POMIX, currently valued at 2.48, compared to the broader market-2.000.002.004.006.008.0010.002.482.66
The chart of Omega ratio for POMIX, currently valued at 1.34, compared to the broader market0.501.001.502.002.503.003.501.341.37
The chart of Calmar ratio for POMIX, currently valued at 2.78, compared to the broader market0.002.004.006.008.0010.0012.002.782.56
The chart of Martin ratio for POMIX, currently valued at 11.40, compared to the broader market0.0020.0040.0060.0011.4011.66
POMIX
PREFX

The current POMIX Sharpe Ratio is 1.85, which is comparable to the PREFX Sharpe Ratio of 2.03. The chart below compares the historical Sharpe Ratios of POMIX and PREFX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.85
2.03
POMIX
PREFX

Dividends

POMIX vs. PREFX - Dividend Comparison

Neither POMIX nor PREFX has paid dividends to shareholders.


TTM20232022202120202019201820172016201520142013
POMIX
T. Rowe Price Total Equity Market Index Fund
0.00%1.20%1.46%1.02%1.17%1.52%1.77%1.43%1.62%1.78%1.41%1.27%
PREFX
T. Rowe Price Tax-Efficient Equity Fund
0.00%0.00%0.00%0.00%0.04%0.16%0.18%0.26%0.22%0.04%0.05%0.30%

Drawdowns

POMIX vs. PREFX - Drawdown Comparison

The maximum POMIX drawdown since its inception was -55.54%, roughly equal to the maximum PREFX drawdown of -56.70%. Use the drawdown chart below to compare losses from any high point for POMIX and PREFX. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.14%
-2.36%
POMIX
PREFX

Volatility

POMIX vs. PREFX - Volatility Comparison

The current volatility for T. Rowe Price Total Equity Market Index Fund (POMIX) is 4.22%, while T. Rowe Price Tax-Efficient Equity Fund (PREFX) has a volatility of 5.04%. This indicates that POMIX experiences smaller price fluctuations and is considered to be less risky than PREFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
4.22%
5.04%
POMIX
PREFX
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab